The Shadowfell
Beyond the Shadow Veil is the Shadowfell - the plane of existence that is the source of Shadow Magic.
Although typically shown as being in opposition to the Feywild, the Shadowfell is not actually a discreet plane but more like a writhing mass of black tendrils which exist anywhere within the Inner Planes. Shadow can be found under the storm clouds and rocky outcrops of the elemental planes, under the boughs of the great trees of the Feywild, and behind all mortals illuminated by the morning sun. It forms an insidious web through which all the Inner Planes are linked and, as such, draws raw energy from.
When beings of suitable power travel to the Shadowfell they are actually deposited into one of an near-infinite number of pocket dimensions formed from the essence of shadow. Such pocket dimensions usually mirror a "real" location elsewhere on the Inner Planes and are typically not more than a few hundred kilometers across. These pockets typically contain some large defining natural feature such as a volcano, shadowy forest, ink-black lake or similar.
The pocket dimensions in the Shadowfell are rarely stable however, unless "anchored" by a permanent portal to one or more other planes.